{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,15]],"date-time":"2024-09-15T22:46:10Z","timestamp":1726440370371},"reference-count":32,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,1,8]],"date-time":"2018-01-08T00:00:00Z","timestamp":1515369600000},"content-version":"vor","delay-in-days":7,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/100010661","name":"Horizon 2020 Framework Programme","doi-asserted-by":"publisher","award":["675044"],"id":[{"id":"10.13039\/100010661","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Complexity"],"published-print":{"date-parts":[[2018,1]]},"abstract":"Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate for the occasional default clustering has been questioned repeatedly. Thus, financial institutions have relied on stressed correlations or alternative copulas with more extreme tail dependence. In this paper, we propose a different remedy\u2014augmenting systematic risk factors with a contagious default mechanism which affects the entire universe of credits. We construct credit stress propagation networks and calibrate contagion parameters for infectious defaults. The resulting framework is implemented on synthetic test portfolios wherein the contagion effect is shown to have a significant impact on the tails of the loss distributions.<\/jats:p>","DOI":"10.1155\/2018\/6076173","type":"journal-article","created":{"date-parts":[[2018,1,8]],"date-time":"2018-01-08T23:33:22Z","timestamp":1515454402000},"update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory"],"prefix":"10.1155","volume":"2018","author":[{"ORCID":"http:\/\/orcid.org\/0000-0002-8708-2293","authenticated-orcid":false,"given":"Ioannis","family":"Anagnostou","sequence":"first","affiliation":[]},{"given":"Sumit","family":"Sourabh","sequence":"additional","affiliation":[]},{"given":"Drona","family":"Kandhai","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2018,1,8]]},"reference":[{"key":"e_1_2_10_1_2","unstructured":"Moody\u2019s Global Credit Policy Emerging market corporate and sub-sovereign defaults and sovereign crises: Perspectives on country risk Moody\u2019s Investor Services 2009."},{"key":"e_1_2_10_2_2","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-9573(03)00040-8"},{"key":"e_1_2_10_3_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_10_4_2","unstructured":"BohnJ. 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